Contingent convertibles [CoCos] : a potent instrument for financial reform / George M. von Furstenberg ; in-house editor, Sandhya Venkatesh.

Format:

Book

Author/Creator:

Von Furstenberg, George M., 1941- author.

Contributor:

Venkatesh, Sandhya, editor.

Series:

World Scientific--Now Publishers series in business ; Volume 5.

World Scientific-Now Publishers Series in Business ; Volume 5

Language:

English

Subjects (All):

Convertible securities.

Convertible bonds.

Physical Description:

1 online resource (287 p.)

Place of Publication:

Singapore : World Scientific Publishing, 2015.

Language Note:

English

Summary:

Contingent Convertibles (CoCos) represent debt that is subject to being converted automatically into common equity under pre-specified terms of conversion if the chosen regulatory capital ratio falls to a level triggering conversion. CoCos are that subspecies of contingent capital that references regulatory (Basel III) concepts in its triggers. From 2014, trigger points are set by common equity (Common Equity Tier 1 [CET1]) in percent of risk-weighted assets [RWA] or of more complicated measures of total exposure to a variety of risks, particularly credit risk. This is the first comprehensive

Contents:

Acknowledgments; Abstract; Contents; List of Tables; About the Author; Part I Foundations; 1 Introduction; 1.1 The Operative Principles Applied in this Monograph; 1.2 Orientation and Summary for Parts I-IV; 2 Overview of Basel III Implementation Most Relevant for Cocos; 2.1 Regulatory Capital Requirements; 2.2 The Leverage Ratio Requirements; 2.3 Drivers and Evolution of Reforms Affecting Cocos; 2.4 Basel III's Narrow Opening for Cocos; 3 Cocos and the Struggle to Preserve Going-Concern Value; 3.1 Downside Convertibles: Managing Conversion Price and Replacement

3.1.1 Comparative Advantages of Cocos vs. RCS3.1.2 Connecting Cocos and LEPs; 3.2 History of Approaches to Bankruptcy Prevention and Resolution; 4 The Treatment of TBTF Financial Institutions in the Last Crisis; 4.1 Disorderly Fragmentation before Liquidation; 4.2 FDIC Receivership: A Superior Resolution Model?; 5 Strategic Policy Objectives in Privatizing the TBTF Backstop; 5.1 The 2007-2009 Financial Crisis: Portfolio and Policy Responses; 5.2 The Development and Growth of Cocos through 2014; Part II Why Cocos?; 6 High-Trigger Cocos Compared with Other Bailinable Debt

6.1 Features Distinguishing High-Trigger Cocos from Bail-in Capital7 Self-Insurance with Cocos Compared to Common Equity; 7.1 Debating the Merits of Cocos; 8 Automatic Cocos Conversion vs. Voluntary Restructuring; 8.1 Voluntary Restructuring of a Non-financial: SolarWorld; 9 Reasons for Having Cocos Liabilities on the Balance Sheet; Part III Varieties of Cocos Design and Rationales; 10 Determining Conversion Price and Risk Premium in Cocos; 10.1 Setting the Conversion Price to Obtain a Targeted Replacement Rate; 10.2 Adjusting CP for Anti-Dilutive Effects of Conversion when ρ < 1

10.3 Summary of What to Consider in Setting the Conversion Price [CP]11 Write-Down-Only Cocos; 11.1 Inefficiently Constructed Variants of Write-Down-Only Cocos; 12 Actual or Prospective Recovery Rates from Converting Cocos; 12.1 The Downs and Ups of Lloyds Banking Group; 12.2 The Bank of Cyprus Conversion Saga; 13 Government Capital Injections and Bailout Cocos; 13.1 Capital Injections under Fed and US Treasury Programs; 13.2 Ireland's Bailout Cocos; 14 Misuses of Cocos in Government-Led Recapitalizations of Banks; 14.1 Cocos as Government Bailout Tool for Spanish and Portuguese Banks

14.2 Struggling Greek Banks Passing Up Bailout CocosPart IV Policy Choices and Essentials for Cocos' Success; 15 The Tax Treatment of the Interest Paid on Cocos; 15.1 Likely US IRS Conditions for Interest Deductibility on Cocos; 15.2 Tax Aspects of Debt Write-Off; 15.3 Setting the Conversion Price for a Recovery-Rate Target; 16 Major Credit Rating Agencies' Approaches to Rating Cocos; 16.1 Requirements for Cocos to be Rated Investment-Grade by S&P; 16.2 Documentation of S&P's Methodology for Rating Cocos; 16.3 Moody's Continued Reluctance to Rate Going-Concern Cocos

17 Regulatory Requirements at Cross-Purposes

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

Description based on print version record.

ISBN:

981-4619-90-6